Depo shot?

Right so I started the depo shot about a month ago and I was meant to get my period two days ago now. I know it can stop your period and all but I was expecting that to happen ages down the line with this. I used protection for about three weeks and had unprotected sex twice about three days ago. I assumed it was okay since I got the short while on my last period and was told it would be effective immediately but I waited any way because I worry too much aha. Anyway my period is never late and more often then not it's early so I never worry. Should I be worried? Or is this totally normal?